NO.PZ2020021002000122
问题如下：
Roll noted that well diversified portfolios are nonetheless highly correlated if the holdings are concentrated within the same asset class. True or false? Explain.
选项：
A.True
B.False
解释：
True
Roll noted that well-diversified portfolios exhibit high correlations when constrained to the same asset class, whereas there is much less correlation when portfolios are diversified across multiple asset classes.
中文解析：
Roll指出，当限制于某一资产类别时，分散的投资组合表现出高度相关性。而当投资组合在多个资产类别中进行分散投资时，相关性要小得多。本题选A。
没有明白题目意思
